Top critical review
3.0 out of 5 starsOmnia probate quod bonum tenete
Reviewed in the United Kingdom on 17 January 2020
An unremarkable analysis yet through American project management and resolve a mathematical solution reminds of this Latin motto.
What I liked - Useful biographies of key team players that advanced the success of Jim Simons's Medallion hedge fund and the Renaissance technologies founder. Good index enabling links and cross reference of hedge fund events - Global Alpha Cliff Asness and the Quant quake (refer Greg Smith's why I left Goldman Sachs). Capital and VC involvement described from David Sussman's refusal to GAM's agreement.
What is missing - Old style hold strategy with long event lines was robbable by the quant funds whose techniques was to reduce the event time lines and increase the number of trades. Profitability per trade would diminish but the task was to increase exponentially the number of trades in managed pattern moves - page 223 Medallion was trading up to 300,000 contracts a day. Simplification graphics would help to better grasp essential features of machine managed control like event line time reduction: page 101 halts long term trades, page 113 reduction from 1 week and 1/2 to 1 day and 1/2, page 190 trades average hold 2 days, page 271 hold time 1 or 2 days increases to 1 or 2 weeks. Sorting the Sharpe ratio and evidencing its shape change through a year eventually pushes the ratio out to 7.5 needs illuminating.
The future - investor nervousness. Retrenchment trades and fake chaff news leading to daily 100 point volatility swings in the Dow, Nikkei, Dax, are good for quant funds but negative for investor confidence and micro second entry and exit decisions - IPO management becomes precarious and issues are pulled.